Portfolio risk management via convex optimization — interchangeable risk models behind one abstract interface, solved directly with Clarabel
☆30Sep 1, 2026Updated this week
Alternatives and similar repositories for cvxrisk
Users that are interested in cvxrisk are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Statistical inference for Sharpe ratios: probabilistic Sharpe ratio, minimum track record length, and FDR/FWER corrections for screening …☆22Updated this week
- Tool to support backtests☆53Updated this week
- Markowitz portfolio construction on CVXPY — DPP-compliant builders that solve long sequences of related problems without recompiling as a…☆36Updated this week
- critical line algorithm for efficient frontier☆23Updated this week
- Implementing a first hurdle for expected returns☆18Updated this week
- End-to-end encrypted cloud storage - Proton Drive • AdSpecial offer: 40% Off Yearly / 80% Off First Month. Protect your most important files, photos, and documents from prying eyes.
- ☆72Jul 13, 2026Updated last month
- Building blocks for trend-following CTA strategies: scale-free oscillators, volatility-adjusted returns, matrix shrinkage and a position …☆17Updated this week
- A CVXPY extension for saddle problems☆28Mar 1, 2026Updated 6 months ago
- factorlasso is a Python library for sparse multi-output factor-model estimation with sign constraints, prior-centred shrinkage, data-driv…☆27Updated this week
- Convex optimization over risk-neutral probabilities.☆15Apr 22, 2020Updated 6 years ago
- Implemented some mathematical processings used in the Barra risk model☆44Apr 11, 2023Updated 3 years ago
- Time series and portfolio analytics for quantitative finance.☆43Updated this week
- ☆19May 16, 2023Updated 3 years ago
- Code for the paper "How to use the Sharpe ratio"☆103Feb 5, 2026Updated 6 months ago
- GPU virtual machines on DigitalOcean Gradient AI • AdGet to production fast with high-performance AMD and NVIDIA GPUs you can spin up in seconds. The definition of operational simplicity.
- ☆20Mar 23, 2020Updated 6 years ago
- ☆11Mar 31, 2015Updated 11 years ago
- Cluster-based portfolio allocation on an explicit, inspectable tree: hierarchical risk parity, Schur complementary allocation and hierarc…☆55Updated this week
- Portfolio Construction using Stratified Models☆13Mar 25, 2021Updated 5 years ago
- Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization☆14May 13, 2024Updated 2 years ago
- A Python Package for Portfolio Optimization using the Critical Line Algorithm☆27Aug 1, 2023Updated 3 years ago
- Dynamic portfolio optimization☆32Dec 21, 2023Updated 2 years ago
- CVQP: An operator splitting solver for large-scale CVaR-constrained quadratic programs☆29Apr 30, 2026Updated 4 months ago
- This repository contains a reference implementation of the Markowitz portfolio optimization problem discussed in the paper Markowitz Port…☆37Jul 13, 2026Updated last month
- Deploy to Railway using AI coding agents - Free Credits Offer • AdUse Claude Code, Codex, OpenCode, and more. Autonomous software development now has the infrastructure to match with Railway.
- Simple command line interface to create repos based on templates☆36Jul 13, 2026Updated last month
- ☆12Aug 31, 2024Updated 2 years ago
- Open-source risk and pricing engine for portfolios and derivatives. Build Monte Carlo simulations, VaR/CVaR tools, and stochastic models,…☆18Dec 8, 2025Updated 8 months ago
- A package for Shrinkage Estimation of Covariance Matrices☆37May 26, 2024Updated 2 years ago
- Example of CTA strategy backtesting.☆20Dec 17, 2022Updated 3 years ago
- FactorLab is a python library that enables the discovery and analysis of alpha and risk factors used in the investment algorithm developm…☆11May 17, 2026Updated 3 months ago
- Covariance prediction via convex optimization☆22Feb 23, 2021Updated 5 years ago
- Code and examples for the project on risk-constrained Kelly gambling☆29Oct 2, 2020Updated 5 years ago
- StAtistical Models for the UnsupeRvised segmentAion of tIme-Series☆11Jan 22, 2020Updated 6 years ago
- Virtual machines for every use case on DigitalOcean • AdGet dependable uptime with 99.99% SLA, simple security tools, and predictable monthly pricing with DigitalOcean's virtual machines, called Droplets.
- A Beginner's Guide to Variational Inference☆20Apr 19, 2025Updated last year
- Materials for a short course on convex optimization.☆370Jul 14, 2026Updated last month
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆28Nov 29, 2022Updated 3 years ago
- Utility functions to support analytics over FHIR in BigQuery or Apache Spark☆15Jan 8, 2024Updated 2 years ago
- A columnar data container that can be compressed.☆19Nov 3, 2025Updated 10 months ago
- Risk Parity and Factors Model on multi asseet management☆23Apr 6, 2021Updated 5 years ago
- z3-powered solver (theorem prover) for deal☆18Sep 28, 2023Updated 2 years ago